Research Output 1959 2020

2016

Concurrent momentum and contrarian strategies in the Australian stock market

Doan, M. P., Alexeev, V. & Brooks, R. D., 2016, In : Australian Journal of Management. 41, 1, p. 77 - 106 30 p.

Research output: Contribution to journalArticleResearchpeer-review

Data visualization and statistical graphics in big data analysis

Cook, D., Lee, E-K. & Majumder, M., 1 Jun 2016, In : Annual Review of Statistics and Its Application. 3, p. 133-159 27 p.

Research output: Contribution to journalReview ArticleResearchpeer-review

Dating the timeline of house price bubbles in Australian capital cities

Shi, S., Valadkhani, A., Smyth, R. & Vahid, F., 2016, In : Economic Record. 92, 299, p. 590-605 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Deriving population norms for the AQoL-6D and AQoL-8D multi-attribute utility instruments from web-based data

Maxwell, A., Ozmen, M., Iezzi, A. & Richardson, J., 2016, In : Quality of Life Research. 25, p. 3209-3219 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries

Silvapulle, P., Fenech, J. P., Thomas, A. & Brooks, R., 1 Nov 2016, In : Economic Modelling. 58, p. 83-92 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Athanasopoulos, G., Poskitt, D. S., Vahid, F. & Yao, W., 1 Sep 2016, In : Journal of Applied Econometrics. 31, 6, p. 1100-1119 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Do drug seizures predict drug-related emergency department presentations or arrests for drug use and possession?

Wan, W-Y., Weatherburn, D., Wardlaw, G., Sarafidis, V. & Sara, G., 2016, In : International Journal of Drug Policy. 27, p. 74 - 81 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Enabling Interactivity on Displays of Multivariate Time Series and Longitudinal Data

Cheng, X., Cook, D. & Hofmann, H., 1 Oct 2016, In : Journal of Computational and Graphical Statistics. 25, 4, p. 1057-1076 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Escape from boxland: Generating a library of high-dimensional geometric shapes

Schloerke, B., Wickham, H., Cook, D. & Hofmann, H., Dec 2016, In : The R Journal. 8, 2, p. 243-257 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Estimation for single-index and partially linear single-index integrated models

Dong, C., Gao, J. & Tjostheim, D. B., 1 Feb 2016, In : Annals of Statistics. 44, 1, p. 425-453 29 p.

Research output: Contribution to journalArticleResearchpeer-review

Estimation in nonlinear regression with Harris recurrent Markov chains

Li, D., Tjostheim, D. & Gao, J., 1 Oct 2016, In : Annals of Statistics. 44, 5, p. 1957-1987 31 p.

Research output: Contribution to journalArticleResearchpeer-review

Exploring the influence of short-term temperature patterns on temperature-related mortality: a case-study of Melbourne, Australia

Pearce, J., Hyer, M., Hyndman, R., Loughnan, M., Dennekamp, M. & Nicholls, N., 10 Nov 2016, In : Environmental Health: A Global Access Science Source. 15, 1, p. 1-10 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access

Fast computation of reconciled forecasts for hierarchical and grouped time series

Hyndman, R. J., Lee, A. J. & Wang, Y. E., 2016, In : Computational Statistics and Data Analysis. 97, p. 16 - 32 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Forecasting uncertainty in electricity smart meter data by boosting additive quantile regression

Ben Taieb, S., Huser, R., Hyndman, R. J. & Genton, M. G., 1 Sep 2016, In : IEEE Transactions on Smart Grid. 7, 5, p. 2448-2455 8 p., 7423794.

Research output: Contribution to journalArticleResearchpeer-review

Foreign investors and stock price efficiency: thresholds, underlying channels and investor heterogeneity

Lim, K-P., Hooy, C-W., Chang, K-B. & Brooks, R., 1 Apr 2016, In : North American Journal of Economics and Finance. 36, p. 1-28 28 p.

Research output: Contribution to journalArticleResearchpeer-review

How do shocks to domestic factors affect real exchange rates of Asian developing countries?

Dumrongrittikul, T. & Anderson, H. M., 2016, In : Journal of Development Economics. 119, p. 67 - 85 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Inference on nonstationary time series with moving mean

Gao, J. & Robinson, P. M., 2016, In : Econometric Theory. 32, 2, p. 431 - 457 27 p.

Research output: Contribution to journalArticleResearchpeer-review

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters: Some comments

Forbes, C., 2016, In : International Journal of Forecasting. 32, 3, p. 888-890 3 p.

Research output: Contribution to journalComment / DebateOtherpeer-review

Open Access

Modeling leakage in two-stage DEA models: An application to US mutual fund families

Galagedera, D. U. A., Watson, J., Premachandra, I. M. & Chen, Y., 2016, In : OMEGA International Journal of Management Science. 61, p. 62 - 67 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Modelling defined contribution retirement outcomes: A stochastic approach using Australia as a case study

Sneddon, T. A., Zhu, Z. & O'Hare, C., 1 Sep 2016, In : Australian Journal of Actuarial Practice. 4, p. 5-19 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Mutual fund industry performance: A network data envelopment analysis approach

Premachandra, I. M., Zhu, J., Watson, J. & Galagedera, D. U. A., 20 Apr 2016, Data Envelopment Analysis: A Handbook of Empirical Studies and Applications. Zhu, J. (ed.). New York: Springer, p. 165-228 64 p. 7. (International Series in Operations Research & Management Science).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Neighbourhood GMM estimation of dynamic panel data models

Sarafidis, V., 29 May 2016, In : Computational Statistics and Data Analysis. 100, p. 526-544 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Nonparametric estimation of operational value-at-risk (OpVaR)

Tursunalieva, A. & Silvapulle, P., 1 Jul 2016, In : Insurance: Mathematics and Economics. 69, p. 194-201 8 p.

Research output: Contribution to journalArticleResearchpeer-review

On sampling methods for costly multi-objective black-box optimization

Steponavice, I., Shirazi Manesh, M., Hyndman, R., Smith-Miles, K. & Villanova, L., 5 Nov 2016, Advances in Stochastic and Deterministic Global Optimization. Pardalos, P. M., Zhigljavsky, A. & Žilinskas, J. (eds.). Switzerland: Springer, Vol. 107. p. 273-296 24 p. (Springer Optimization and Its Applications; vol. 107, no. Part III).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

On solving bias-corrected non-linear estimation equations with an application to the dynamic linear model

Mahmood, M. & King, M. L., 1 Nov 2016, In : Statistica Neerlandica. 70, 4, p. 332-355 24 p.

Research output: Contribution to journalArticleResearchpeer-review

Optimal partial proxy method for computing Gammas of financial products with discontinuous and angular payoffs

Joshi, M. S. & Zhu, D., 2016, In : Applied Mathematical Finance. 23, 1, p. 22-56 35 p.

Research output: Contribution to journalArticleResearchpeer-review

Probabilistic electric load forecasting: A tutorial review

Hong, T. & Fan, S., 2016, In : International Journal of Forecasting. 32, 3, p. 914-938 25 p.

Research output: Contribution to journalArticleResearchpeer-review

Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond

Hong, T., Pinson, P., Fan, S., Zareipour, H., Troccoli, A. & Hyndman, R. J., 2016, In : International Journal of Forecasting. 32, 3, p. 896-913 18 p.

Research output: Contribution to journalArticleResearchpeer-review

Realized volatility of the spread: analysis in the foreign exchange market

Bissoondoyal-Bheenick, E., Brooks, R. D., Treepongkaruna, S. & Wee, M., 2016, Risk Management in Emerging Markets: Issues, Framework, and Modeling. Boubaker, S., Buchannan, B. & Ngyuyen, D. K. (eds.). Bingley UK: Emerald Group Publishing Limited, p. 3-35 33 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Refinement and revalidation of the demoralization scale: The DS-II-external validity

Robinson, S., Kissane, D. W., Brooker, J., Hempton, C., Michael, N., Fischer, J., Franco, M., Sulistio, M., Clarke, D. M., Ozmen, M. & Burney, S., 15 Jul 2016, In : Cancer. 122, 14, p. 2260-2267 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Retirement planning in the light of changing demographics

Wang, H., Koo, B. & O'Hare, C., 2016, In : Economic Modelling. 52, p. 749 - 763 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Signal identication in singular spectrum analysis

Khan, A. R. & Poskitt, D. S., Mar 2016, In : Australian and New Zealand Journal of Statistics. 58, 1, p. 71-98 28 p.

Research output: Contribution to journalArticleResearchpeer-review

Sparse and smooth adjustments for coherent forecasts in temporal aggregation of time series

Ben Taieb, S., 2016, NIPS 2016 Time Series Workshop, 09 December 2016, Barcelona, Spain. Anava, O., Khaleghi, A., Cuturi, M., Kuznetsov, V. & Rakhlin, A. (eds.). USA: Proceedings of Machine Learning Research (PMLR), Vol. 55. 11 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Open Access

Stable asymptotics for M-estimators

La Vecchia, D., 1 Aug 2016, In : International Statistical Review. 84, 2, p. 267-290 24 p.

Research output: Contribution to journalArticleResearchpeer-review

Standing room only: faculty intervention increases voluntary lecture attendance and performance for disadvantaged year 1 bioscience students

Dickson, K. A. & Stephens, B. W., 2016, In : Higher Education Pedagogies. 1, 1, p. 1-17 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Stock and currency market linkages: new evidence from realized spillovers in higher moments

Do, H. X., Brooks, R., Treepongkaruna, S. & Wu, E., 1 Mar 2016, In : International Review of Economics and Finance. 42, p. 167-185 19 p.

Research output: Contribution to journalArticleResearchpeer-review

The effect of exchange rate volatility on the nexus of technology sophistication and trade fragmentation of ASEAN5 exports to China

Hooy, C. W., Baharumshah, A. Z. & Brooks, R. D., 2 Jul 2016, In : Journal of Asia-Pacific Business. 17, 3, p. 206-228 23 p.

Research output: Contribution to journalArticleResearchpeer-review

The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital

Joshi, M. S. & Zhu, D., 1 May 2016, In : ASTIN Bulletin. 46, 2, p. 431-467 37 p.

Research output: Contribution to journalArticleResearchpeer-review

The impact of HR political skill in the HRM and organisational performance relationship

Sheehan, C. R., De Cieri, H. L., Cooper, B. & Brooks, R. D., 2016, In : Australian Journal of Management. 41, 1, p. 161 - 181 21 p.

Research output: Contribution to journalArticleResearchpeer-review

The role of identity and authority from anarchy to order: Insights from modelling the trajectory of duelling in Europe

Vahabi, M. & Hassani Mahmooei, B., 2016, In : Economic Modelling. 55, p. 57 - 72 16 p.

Research output: Contribution to journalArticleResearchpeer-review

The twentieth-century computer graphics revolution in statistics

Cook, D., 2016, Visible Numbers: Essays on the History of Statistical Graphics. Kimball, M. A. & Kostelnick, C. (eds.). 1st ed. Abingdon Oxon UK: Routledge, p. 207-218 12 p. (Ashgate Studies in Technical Communication, Rhetoric, and Culture).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Otherpeer-review

Time series clustering

Caido, J., Maharaj, E. A. & D'Urso, P., 2016, Handbook of Cluster Analysis. Hennig, C., Meila, M., Murtagh, F. & Rocci, R. (eds.). Boca Raton FL USA: Chapman & Hall/CRC, p. 241-264 24 p. (Handbooks of Modern Statistical Methods).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Two dimensional kernel smoothing of mortality surface: An evaluation of cohort strength

Li, H., O'Hare, C. & Vahid-Araghi, F., 1 Sep 2016, In : Journal of Forecasting. 35, 6, p. 553-563 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression

Li, D., Phillips, P. C. B. & Gao, J., 1 Jun 2016, In : Econometric Theory. 32, 3, p. 655-685 31 p.

Research output: Contribution to journalArticleResearchpeer-review

Vector autoregressive moving average identification for macroeconomic modeling: A new methodology

Poskitt, D. S., 2016, In : Journal of Econometrics. 192, 2, p. 468 - 484 17 p.

Research output: Contribution to journalArticleResearchpeer-review

What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads

Cui, J., In, F. & Maharaj, E. A., 1 Sep 2016, In : International Review of Economics and Finance. 45, p. 358-375 18 p.

Research output: Contribution to journalArticleResearchpeer-review